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  1. Availability of high-quality liquid assets and monetary policy operations
    an analysis for the euro area
    Contributor: Grandia, Roel (HerausgeberIn); Hänling, Petra (HerausgeberIn); Lo Russo, Michelina (HerausgeberIn); Åberg, Pontus (HerausgeberIn)
    Published: [2019]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper provides an overview of supply and demand factors influencing the availability of euro-denominated debt instruments that qualify as high-quality liquid assets (HQLA) in the euro area. The paper estimates the supply of HQLA issued by the... more

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    This paper provides an overview of supply and demand factors influencing the availability of euro-denominated debt instruments that qualify as high-quality liquid assets (HQLA) in the euro area. The paper estimates the supply of HQLA issued by the public and private sectors as well as the aggregated impact of Eurosystem monetary policy operations on the amount and composition of HQLA held by banks and other economic agents. An assessment of the main demand factors is also presented. Finally, the paper provides some insights into the interaction with and implications for the Eurosystem monetary policy implementation framework in the longer run.

     
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    Source: Staatsbibliothek zu Berlin
    Contributor: Grandia, Roel (HerausgeberIn); Hänling, Petra (HerausgeberIn); Lo Russo, Michelina (HerausgeberIn); Åberg, Pontus (HerausgeberIn)
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289936798
    Other identifier:
    hdl: 10419/207605
    Corporations / Congresses:
    Europäische Zentralbank (VerfasserIn)
    Series: Occasional paper series / European Central Bank ; no 218 (February 2019)
    Subjects: central bank; banking policy; Eurosystem; euro area; financial market; public policy; regulatory changes; central bank policies; bank regulation; credit operations; asset purchase programme
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  2. Mortgages
    estimating default correlation and forecasting default risk
    Author: Neumann, Tobias
    Published: February 2018
    Publisher:  Bank of England, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 708
    Subjects: Mortgages; bank regulation; credit risk; default correlation; state space model; Basel Committee; stress testing; macroprudential policy
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  3. Equity versus bail-in debt in banking
    an agency perspective
    Author: Mendicino, Caterina; Nikolov, Kalin; Suárez, Javier
    Published: [2017]
    Publisher:  European Systemic Risk Board, Frankfurt am Main, Germany

    We examine the optimal size and composition of banks' total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition... more

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    We examine the optimal size and composition of banks' total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition (equity vs. bail-in debt) is driven by the relative importance of two incentive problems: risk shifting (mitigated by equity) and private benefit taking (mitigated by debt). Our quantitative results suggest that TLAC size in line with current regulation is appropriate. However, an important fraction of it should consist of bail-in debt because such buffer size makes the costs of risk-shifting relatively less important at the margin.

     
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    ISBN: 9789295081932
    Other identifier:
    hdl: 10419/193557
    Series: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 50 (July 2017)
    Subjects: bail-in debt; loss absorbing capacity; risk shifting; agency problems; bank regulation
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  4. A dynamic model of bank behaviour under multiple regulatory constraints
    Author: Behn, Markus; Daminato, Claudio; Salleo, Carmelo
    Published: [2019]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    We develop a dynamic structural model of bank behaviour that provides a microeconomic foundation for bank capital and liquidity structures and analyses the effects of changes in regulatory capital and liquidity requirements as well as their... more

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    We develop a dynamic structural model of bank behaviour that provides a microeconomic foundation for bank capital and liquidity structures and analyses the effects of changes in regulatory capital and liquidity requirements as well as their interaction. Our findings suggest that adjustments in both types of requirements can have an impact on loan supply, with considerable heterogeneity across banks and over time. The model illustrates that banks' reactions depend on initial balance sheet conditions and reconciles evidence on short-term reductions in loan supply with findings suggesting that better capitalized banks are better able to lend in the medium- to long-term.

     
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    ISBN: 9789289934954
    Other identifier:
    hdl: 10419/208267
    Series: Working paper series / European Central Bank ; no 2233 (January 2019)
    Subjects: bank regulation; capital structure; liquidity structure; structural model
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  5. Keep calm, but watch the outliers
    deposit flows in recent crisis episodes and beyond
    Author: Fascione, Luisa; Oosterhek, Koen; Scheubel, Beatrice; Stracca, Livio; Wildmann, Nadya
    Published: [2024]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    Since the March 2023 banking turmoil, a policy debate has emerged concerning the unprecedented scale and speed of the observed deposit outflows. Have recent stress episodes and developments in technology structurally changed depositors' behaviour?... more

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    Since the March 2023 banking turmoil, a policy debate has emerged concerning the unprecedented scale and speed of the observed deposit outflows. Have recent stress episodes and developments in technology structurally changed depositors' behaviour? Are the Basel III liquidity coverage ratio (LCR) run-off assumptions for cash outflows still fit for purpose? Leveraging on monthly liquidity reporting for a sample of 110 significant institutions (SIs) between 2016 and 2024, we shed light on some stylised facts pertaining to the composition of deposit flows in the banking union. Overall, we find limited evidence of a structural change in the statistical behaviour of deposit flows to date. For all but one of the deposit classes included in the analysis, more than 90% of observable net outflows remained below the LCR run-off assumptions during the whole sample period. Some extreme deposit outflows recorded during the COVID-19 pandemic and for a few SIs assessed as failing or likely to fail (FOLTF) remain rare tail events for which the LCR standard was not designed.

     
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    Source: Union catalogues
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    ISBN: 9789289968775
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    Series: Occasional paper series / European Central Bank ; no 361
    Subjects: liquidity risk; deposit outflows; bank runs; LCR run-off assumptions; bank regulation; financial risk; banking policy; financial institution; monetary crisis
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  6. Decentralized multinational banks and risk taking
    the Spanish experience in the crisis
    Author: Argimón, Isabel
    Published: 2017
    Publisher:  Banco de España, Madrid

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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1749
    Subjects: financial crises; geographic diversification; bank regulation; banking; risk
    Scope: 1 Online-Ressource (circa 34 Seiten)
  7. Does banks' systemic importance affect their capital structure and balance sheet adjustment processes?
    Author: Bakkar, Yassine; De Jonghe, Olivier; Tarazi, Amine
    Published: März 2019
    Publisher:  National Bank of Belgium, Brussels

    Frictions prevent banks to immediately adjust their capital ratio towards their desired and/or imposed level. This paper analyzes (i) whether or not these frictions are larger for regulatory capital ratios vis-à-vis a plain leverage ratio; (ii) which... more

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    Frictions prevent banks to immediately adjust their capital ratio towards their desired and/or imposed level. This paper analyzes (i) whether or not these frictions are larger for regulatory capital ratios vis-à-vis a plain leverage ratio; (ii) which adjustment channels banks use to adjust their capital ratio; and (iii) how the speed of adjustment and adjustment channels differ between large, systemic and complex banks versus small banks. Our results, obtained using a sample of listed banks across OECD countries for the 2001-2012 period, bear critical policy implications for the implementation of new (systemic risk-based) capital requirements and their impact on banks' balance sheets, specifically lending, and hence the real economy.

     
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    Other identifier:
    hdl: 10419/207748
    Series: Working paper research / National Bank of Belgium ; no 369 (March 2019)
    Subjects: capital structure; speed of adjustment; systemic risk; systemic size; bank regulation; lending; balance sheet composition
    Scope: 1 Online-Ressource (circa 61 Seiten)
  8. Is stricter regulation of incentive compensation the missing piece?
    Author: Wall, Larry D.
    Published: [2019]
    Publisher:  Federal Reserve Bank of Atlanta, Atlanta, GA

    Although a number of steps have been taken to reduce the risk of financial stability, some significant weaknesses remain. This paper examines whether stricter regulation of incentive compensation is the missing piece needed to reduce risk to... more

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    Although a number of steps have been taken to reduce the risk of financial stability, some significant weaknesses remain. This paper examines whether stricter regulation of incentive compensation is the missing piece needed to reduce risk to acceptable levels. Unfortunately, this review of the literatures on the relationship of risk to bank chief operating officer and bank employee compensation suggest both have some potential but that significant concerns remain in both cases. At this point, we cannot confidently say that compensation regulation is the missing piece.

     
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    Source: Union catalogues
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    Other identifier:
    hdl: 10419/200544
    Series: Working paper series / Federal Reserve Bank of Atlanta ; 2019, 6 (March 2019)
    FRB Atlanta Working Paper ; No. 2019-6
    Subjects: incentive compensation; bank regulation
    Scope: 1 Online-Ressource (circa 36 Seiten)
  9. The Janus face of bank geographic complexity
    Author: Aldasoro, Iñaki; Hardy, Bryan; Jager, Maximilian
    Published: 2020
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Series: BIS working papers ; no 858 (April 2020)
    Subjects: bank geographic complexity; bank risk; bank regulation; GSIB
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  10. Post-crisis international financial regulatory reforms
    a primer
    Author: Borio, Claudio E. V.; Farag, Marc; Tarashev, Nikola A.
    Published: 2020
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Series: BIS working papers ; no 859 (April 2020)
    Subjects: bank regulation; CCPs; asset managers; macroprudential
    Scope: 1 Online-Ressource (circa 69 Seiten), Illustrationen
  11. Leverage constraints and bank monitoring: bank regulation versus monetary policy
    Author: Böser, Florian; Gersbach, Hans
    Published: [2021]
    Publisher:  CER-ETH - Center of Economic Research at ETH Zurich, Zürich

    Bank leverage constraints can emerge from regulatory capital requirements as well as from central bank collateral requirements in reserve lending facilities. While these two channels are usually examined separately, we are able to compare them with... more

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    Bank leverage constraints can emerge from regulatory capital requirements as well as from central bank collateral requirements in reserve lending facilities. While these two channels are usually examined separately, we are able to compare them with the help of a bank money creation model in which central bank reserves have to be acquired to settle interbank liabilities. In particular, we show that with regard to bank monitoring, monetary policy via collateral requirements leads to a unique collateral leverage channel, which cannot be replicated by standard capital requirements. Through this channel, banks can expand loan supply and deposit issuance when they face liquidity constraints, by raising the collateral value of their loans with tighter monitoring of firms. The collateral leverage channel can improve welfare beyond standard bank capital regulation. Our results may inform current policy debates, such as the design of central bank collateral frameworks or the question whether monetary policy remains effective in times with large central bank reserves.

     
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    Language: English
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    hdl: 10419/235624
    Edition: This version: June 30, 2021
    Series: Working paper / CER-ETH - Center of Economic Research at ETH Zurich ; 21, 358 (June 2021)
    Subjects: leverage; banks; monitoring; bank regulation; monetary policy
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  12. Regulatory and bailout decisions in a banking union
    Author: Haufler, Andreas
    Published: [2021]
    Publisher:  Collaborative Research Center Transregio 190, [München]

    We model a banking union of two countries whose banking sectors differ in their average probability of failure and externalities between the two countries arise from cross-border bank ownership. The two countries face (i) a regulatory (super- visory)... more

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    We model a banking union of two countries whose banking sectors differ in their average probability of failure and externalities between the two countries arise from cross-border bank ownership. The two countries face (i) a regulatory (super- visory) decision of which banks are to be shut down before they can go bankrupt, and (ii) a bailout decision of who pays for banks that have failed despite regu- latory oversight. Each of these choices can either be taken in a centralized or in a decentralized way. In our benchmark model the two countries always agree on a centralized regulation policy. In contrast, bailout policies are centralized only when international spillovers from cross-border bank ownership are strong, and banking sectors are highly profitable.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    hdl: 10419/256757
    Edition: Revised version, May 2021
    Series: Discussion paper / Rationality & Competition, CRC TRR 190 ; no. 290 (May 27, 2021)
    Subjects: banking union; bank regulation; bailout policies
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  13. Capital requirements, market structure, and heterogeneous banks
    Author: Müller, Carola
    Published: [12. Mai 2022]
    Publisher:  Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, Halle (Saale), Germany

    Bank regulators interfere with the efficient allocation of resources for the sake of financial stability. Based on this trade-off, I compare how different capital requirements affect default probabilities and the allocation of market shares across... more

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    Bank regulators interfere with the efficient allocation of resources for the sake of financial stability. Based on this trade-off, I compare how different capital requirements affect default probabilities and the allocation of market shares across heterogeneous banks. In the model, banks‘ productivity determines their optimal strategy in oligopolistic markets. Higher productivity gives banks higher profit margins that lower their default risk. Hence, capital requirements indirectly aiming at highproductivity banks are less effective. They also bear a distortionary cost: Because incumbents increase interest rates, new entrants with low productivity are attracted and thus average productivity in the banking market decreases.

     
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    hdl: 10419/256924
    Series: IWH discussion papers ; 2022, no. 15 (May 2022)
    Subjects: bank competition; bank regulation; Basel III; capital requirements; heterogeneous banks; leverage ratio
    Scope: 1 Online-Ressource (III, 54 Seiten, 2,55 MB), Diagramm
  14. Evolution of Debt Financing Toward Less Regulated Financial Intermediaries
    Author: Erel, Isil; Inozemtsev, Eduard
    Published: [2022]
    Publisher:  SSRN, [S.l.]

    Nonbank lenders have been playing an increasingly important role in the supply of debt financing, especially post Great Recession. These nonbank financial institutions not only participate in syndicated loans to large businesses but also act as... more

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    Nonbank lenders have been playing an increasingly important role in the supply of debt financing, especially post Great Recession. These nonbank financial institutions not only participate in syndicated loans to large businesses but also act as direct lenders to small and mid-sized businesses, providing loans previously were primarily supplied by banks. Moreover, the composition of bondholders has changed, with mutual funds and other less regulated entities having gained nontrivial market shares. What is the extent of nonbank lending? How important are the distortions associated with the varying degrees of regulatory oversight for banks that differentially limit risk-taking across alternative sources of credit? What are the financial stability implications of this transformed landscape of credit markets? This selective review addresses these important questions and also discusses how banks and nonbanks helped provide liquidity to the nonfinancial sector during the COVID-19 pandemic shock

     
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    Series: Fisher College of Business Working Paper ; No. 2022-03-004, 2022
    Subjects: Nonbank; fintech; bank regulation; loan; bond
    Scope: 1 Online-Ressource (72 p)
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    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 6, 2022 erstellt
  15. The sovereign-bank nexus in the euro area
    financial & real channels
    Author: Bellia, Mario; Calès, Ludovic; Frattarolo, Lorenzo; Maerean, Andreea; Monteiro, Daniel P.; Petracco Guidici, Marco; Vogel, Lukas
    Published: 2019
    Publisher:  Publications Office of the European Union, Luxembourg

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    ISBN: 9789276111900
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    Series: Array ; 122 (November 2019)
    Subjects: sovereign-bank loop; bank regulation; bailout; bail-in; SYMBOL; QUEST
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  16. Banker compensation, relative performance, and bank risk
    Author: Jarque, Arantxa; Prescott, Edward Simpson
    Published: 2019
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    Series: Working paper / Federal Reserve Bank of Cleveland ; 19, 20 (November 2019)
    Subjects: incentive compensation; relative performance; bank regulation
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  17. Variability in risk-weighted assets
    what does the market think?
    Author: Santos, Edson Bastos e; Esho, Neil; Farag, Marc; Zuin, Christopher
    Published: 2020
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Series: BIS working papers ; no 844 (February 2020)
    Subjects: bank regulation; capital; Basel III; risk-weighted assets; financial stability
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  18. Capital controls and rsk misallocation
    evidence from a natural experiment
    Author: Keller, Lorena
    Published: [2019]
    Publisher:  Rodney L. White Center for Financial Research], [Philadelphia, PA

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    Series: [Working papers / Rodney L. White Center for Financial Research ; 10, 19]
    Subjects: capital controls; macroprudential policies; emerging markets; carry trade; corporate debt; currency risk; bank regulation; bank lending
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  19. The impact of G-SIB identification on bank lending
    evidence from syndicated loans
    Author: Behn, Markus; Schramm, Alexander
    Published: [2020]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper uses granular data on syndicated loans to analyse the impact of international reforms for Global Systemically Important Banks (G-SIBs) on bank lending behaviour. Using a difference-in-differences estimation strategy, we find no effect of... more

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    This paper uses granular data on syndicated loans to analyse the impact of international reforms for Global Systemically Important Banks (G-SIBs) on bank lending behaviour. Using a difference-in-differences estimation strategy, we find no effect of the reforms on overall credit supply, while at the same time documenting a substantial decline in borrower- and loan-specific risk factors for the affected banks. Moreover, we detect a significant decline in the pricing gap between interest rates charged by G-SIBs and other banks, which we interpret as indirect evidence for a reduction in funding cost subsidies. Overall, our results suggest that the G-SIB reforms have helped to mitigate moral hazard problems associated with systemically important banks, while the consequences for the real economy have been limited.

     
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    ISBN: 9789289943963
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    hdl: 10419/229093
    Series: Working paper series / European Central Bank ; no 2479 (October 2020)
    Subjects: bank regulation; bank lending; systemically important banks
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  20. Does the market believe in loss-absorbing bank debt?
    Author: Indergand, Martin; Hrasko, Gabriela
    Published: 2021
    Publisher:  Swiss National Bank, Zurich

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: SNB working papers ; 2021, 13
    Subjects: financial stability; bank regulation; loss-absorbing capacity; creditor hierarchy; bail-in debt; bank resolution
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  21. Banks' complexity-risk nexus and the role of regulation
    Author: Martynova, Natalya; Vogel, Ursula
    Published: [2021]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    We investigate the relationship between bank complexity and bank risk-taking using German banking data over the period 2005-2017. We find that more complex banking organizations tend to take on more risk, but that this complexity-risk nexus decreases... more

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    We investigate the relationship between bank complexity and bank risk-taking using German banking data over the period 2005-2017. We find that more complex banking organizations tend to take on more risk, but that this complexity-risk nexus decreases over time. We study how regulatory tightenings inherent in this period, and addressing systemically important banks (SIBs) in general and complexity more specifically, alter banks’ choices of complexity and risk. Banks reduce their complexity in response to regulatory tightenings, as these increase the related regulatory costs. Surprisingly, for SIBs in particular, the reduction of regulatory costs is associated with an increase in diversification benefits. As a result, they are able to lower their idiosyncratic risk more than other banks. The overall complexity-risk nexus is lower after regulatory tightenings. Thus, our results indicate that post-crisis regulation is effective in reducing banks’ complexity-risk nexus.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957298225
    Other identifier:
    hdl: 10419/233941
    Series: Discussion paper / Deutsche Bundesbank ; no 2021, 14
    Subjects: bank complexity; bank risk-taking; bank regulation; too-big-to-fail
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  22. Are bigger banks better?
    firm-level evidence from Germany
    Author: Huber, Kilian
    Published: [2020]
    Publisher:  Centre for Economic Performance, London School of Economics and Political Science, London

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    Source: Union catalogues
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    Series: Discussion paper / Centre for Economic Performance ; no. 1735 (December 2020)
    Subjects: Bank; Betriebsgröße; Skalenertrag; Unternehmenserfolg; Wirkungsanalyse; Deutschland; bank regulation; big banks; bank size; economic growth; Brexit; economic geography; employment; globalisation; productivity; technological change
    Scope: 1 Online-Ressource (circa 77 Seiten), Illustrationen
  23. The international aspects of macroprudential policy
    Author: Forbes, Kristin
    Published: [2020]
    Publisher:  MIT Sloan School of Management, [Cambridge, MA]

    Countries are using macroprudential tools more actively with the goal of improving the resilience of their broader financial systems. A growing body of evidence suggests that these tools can accomplish specific domestic goals and should reduce... more

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    Countries are using macroprudential tools more actively with the goal of improving the resilience of their broader financial systems. A growing body of evidence suggests that these tools can accomplish specific domestic goals and should reduce country vulnerability to many domestic and international shocks. The evidence also suggests, however, that these policies are not an elixir. They will not insulate economies from volatility and they generate leakages to the non-bank financial system and spillovers through international borrowing, lending and other cross-border exposures. Some of these unintended consequences can mitigate the effectiveness of macroprudential policies and generate new vulnerabilities and risks. The “Corona Crisis” provides a lens to evaluate the effectiveness of current macroprudential regulations during a period of extreme market volatility and economic stress. Experience to date suggests that macroprudential tools provide some benefits and should remain a focus of macroeconomic policy, but with realistic expectations about what they can accomplish

     
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    Media type: Book
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    Edition: Last revised: August 2020
    Series: MIT Sloan School working paper ; 6167 (20)
    MIT Sloan Research Paper ; No. 6167-20
    Subjects: : macroprudential; capital-flow measures; bank regulation; spillovers; Covid-19
    Scope: 1 Online-Ressource (circa 37 Seiten)
  24. Asset managers, market liquidity and bank regulation
    Author: Aldasoro, Iñaki; Huang, Wenqian; Tarashev, Nikola A.
    Published: 2021
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 933 (March 2021)
    Subjects: investment funds; herding; bank regulation; leverage ratio; social welfare
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  25. An empirical foundation for calibrating the G-SIB surcharge
    Author: Jiron, Alexander; Passmore, Stuart Wayne; Werman, Aurite
    Published: 2021
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Source: Union catalogues
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    Series: BIS working papers ; no 935 (March 2021)
    Subjects: xxxxxx investment funds; herding; bank regulation; leverage ratio; social welfare
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen